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Interrelación entre los mercados de derivados y el mercado de bonos soberanos del Perú y su impacto en las tasas de interés

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Author Info

  • Choy, Marylin

    (Banco Central de Reserva del Perú)

  • Cerna, Jorge

    (Banco Central de Reserva del Perú)

Abstract

Una de las consecuencias de las políticas monetarias expansivas aplicadas en los países desarrollados es el crecimiento de los mercados financieros en países emergentes como el Perú. No solo se observa una evolución de los mercados domésticos, sino que su integración a los mercados internacionales es cada vez mayor. Por ello es importante analizar la interrelación entre los mercados financieros y sus implicancias en la formación de precios de los activos locales. Especial atención merece el mercado de derivados de monedas por ser el que mayor impacto puede tener en los otros mercados locales, ante condiciones de arbitraje. Este documento tiene como objetivo evaluar el funcionamiento de los mercados monetarios y de derivados peruanos y su implicancia en los rendimientos de los bonos soberanos y en las tasas de interés domésticas en general.

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File URL: http://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2012/documento-de-trabajo-21-2012.pdf
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Bibliographic Info

Paper provided by Banco Central de Reserva del Perú in its series Working Papers with number 2012-021.

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Date of creation: Nov 2012
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Handle: RePEc:rbp:wpaper:2012-021

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Keywords: Derivados; monedas; bonos; arbitraje; política monetaria;

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  1. Q. Farooq Akram, & Dagfinn Rime & Lucio Sarno, 2005. "Arbitrage in the foreign exchange market: Turning on the microscope," Working Paper 2005/12, Norges Bank.
  2. Naohiko Baba & Frank Packer & Teppei Nagano, 2008. "The spillover of money market turbulence to FX swap and cross-currency swap markets," BIS Quarterly Review, Bank for International Settlements, March.
  3. Rossini, Renzo & Quispe, Zenon & Rodriguez, Donita, 2011. "Capital Flows, Monetary Policy and FOREX Interventions in Peru," Working Papers 2011-008, Banco Central de Reserva del Perú.
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